On the random-time and finite-time ruin probability for widely dependent claim sizes and inter-arrival times

2025/06/23 by Chen, Yang, Cui, Zhaolei, Wang, Yuebao
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2506.18834

Abstract

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time ruin probability for a nonstandard renewal risk model, in which both claim sizes and the inter-arrival times of claim sizes are widely dependent.

Citations

• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks
• Subexponentiality of the product of independent random variables

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